Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/62211
DC Field | Value | Language |
---|---|---|
dc.contributor | 應物所 | en_US |
dc.creator | 馬文忠 | zh_TW |
dc.creator | Ma, Wen-Jong ; Wang, Shih-Chieh ; Chen, Chi-Ning ; Hu, Chin-Kun | en_US |
dc.date | 2013.06 | en_US |
dc.date.accessioned | 2013-12-06T06:29:20Z | - |
dc.date.available | 2013-12-06T06:29:20Z | - |
dc.date.issued | 2013-12-06T06:29:20Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/62211 | - |
dc.description.abstract | It is found that the mean square log-returns calculated from the high-frequency oneday moving average of US and Taiwan stocks with the time internal τ show ballistic behavior θτα1 with the exponent α1 ≈ 2 for small τ and show diffusion-like behavior Dτα2 with the exponent α2 ≈ 1 for large τ . Such a crossover behavior can be well described by the mean square displacements of particles governed by the Langevin equation of motion. Thus, θ and D can be considered, respectively, as the temperature-like and diffusivity-like kinetic parameters of the market, and they can be used to characterize the behavior of the market. | en_US |
dc.format.extent | 1518546 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en_US | - |
dc.relation | Europhysics Letters, 102(6), 66003-p1-p6 | en_US |
dc.title | Crossover behavior of stock returns and mean square displacements of particles governed by the Langevin equation | en_US |
dc.type | article | en |
dc.identifier.doi | 10.1209/0295-5075/102/66003 | en_US |
dc.doi.uri | http://dx.doi.org/10.1209/0295-5075/102/66003 | en_US |
item.languageiso639-1 | en_US | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.fulltext | With Fulltext | - |
item.openairetype | article | - |
item.grantfulltext | restricted | - |
item.cerifentitytype | Publications | - |
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